Solved – logistic regression. How to get dual function

logisticmachine learning

Given pairs $(x_i, y_i), x_i \in R^n , y_i \in R$ we want to solve minimization
problem (logistic regression):$\min \frac{1}{2} ||w||^2 + \sum_i^{i=m}\log(1+\exp(-y w\cdot x_i))$. How to do that? I know the dual form is:
$ \min_{\alpha} D(\alpha)= \frac{1}{2}\sum_{i, j}\alpha_i \alpha_j y_i y_j x_i \cdot x_j + \sum_i\alpha_i \log(\alpha_i) + (C-\alpha_i)\log(C-\alpha_i)$, subject to: $0\le \alpha_i\le C$. How to get dual?

Best Answer

Tom Minka gives the derivation in this excellent paper "A comparison of numerical optimizers for logistic regression" pdf, section 9

Related Question